Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0088 |
| Annualized Std Dev | 0.2729 |
| Annualized Sharpe (Rf=0%) | -0.0321 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3916.0000 |
| NAs | 1.0000 |
| Minimum | -0.1931 |
| Quartile 1 | -0.0061 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0075 |
| Maximum | 0.2024 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0172 |
| Skewness | -0.8799 |
| Kurtosis | 22.6427 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0130 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0154 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0129 |
| Downside Deviation (0%) | 0.0129 |
| Maximum Drawdown | 0.7836 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0433 |
| Modified VaR (95%) | -0.0244 |
| Modified ES (95%) | -0.0244 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2009-03-09 | NA | -0.7836 | 3475 | 445 | NA |
| 2005-08-31 | 2005-12-28 | 2006-10-20 | -0.2143 | 288 | 83 | 205 |
| 2007-02-27 | 2007-03-05 | 2007-03-23 | -0.1158 | 19 | 5 | 14 |
| 2007-01-05 | 2007-01-10 | 2007-01-22 | -0.0505 | 11 | 4 | 7 |
| 2007-02-05 | 2007-02-13 | 2007-02-20 | -0.0405 | 11 | 7 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | 0 | -1.2 | -1.1 | -2.2 | -0.5 | -4.9 |
| 2006 | -0.8 | 0.4 | 0.9 | 0.3 | 2.6 | 0.8 | 0.8 | 0.7 | -0.3 | -0.9 | 0.1 | -0.8 | 3.8 |
| 2007 | 1.4 | -3.7 | 1.7 | 0.5 | 1 | 0.1 | -5.8 | 1.7 | 2 | -1.6 | -0.1 | 1.4 | -1.8 |
| 2008 | 2.9 | -3.1 | 3.9 | 1.2 | 1.2 | 0.8 | 0 | -0.4 | 0.3 | 2.2 | -9.1 | 2.1 | 1.4 |
| 2009 | 1.8 | -6.5 | 2 | 0.7 | 2.1 | 2.3 | 1.5 | -2.8 | -2.3 | -2.3 | 2.3 | 0.8 | -0.8 |
| 2010 | 1.7 | 1.2 | 1.3 | -1.7 | -1.4 | -0.2 | 0.1 | 3 | 1 | 1.2 | 1.6 | 0.8 | 8.9 |
| 2011 | 1.9 | -1 | 1.5 | -0.2 | -1.5 | 0.6 | 0.4 | 1.1 | -2 | -0.4 | -0.1 | -0.1 | 0.2 |
| 2012 | 1.3 | 1.4 | 1.2 | 0.5 | -1.3 | 2.6 | 0.6 | 0.6 | 1.7 | 0.9 | 0 | 2.1 | 12.1 |
| 2013 | 0.5 | -0.5 | -0.4 | -0.8 | -1.8 | 0.2 | 1 | 0.8 | 1.2 | -0.1 | -0.5 | 0.9 | 0.6 |
| 2014 | -0.1 | 0.4 | 0.7 | 0.1 | 0.2 | 0.5 | -1.2 | 0.6 | 1.9 | 0.7 | -2.6 | -0.9 | 0.3 |
| 2015 | -1.8 | 0.8 | 0.4 | -0.1 | -0.2 | 0.5 | 1.4 | -2.2 | 0.4 | 1.2 | 1 | -0.3 | 1.1 |
| 2016 | 1.6 | 2.7 | -0.5 | 0.5 | 0.2 | 1.4 | -0.6 | 0.3 | 0.7 | -1.2 | -1.8 | 0.2 | 3.5 |
| 2017 | -0.7 | 1.6 | 0.4 | 0.4 | 0.4 | -0.5 | 0.2 | 0.9 | 1.1 | 0.6 | -0.2 | 1.3 | 5.5 |
| 2018 | -1 | -0.9 | 2.1 | -0.7 | -0.1 | 0.9 | -0.9 | -0.6 | 1.5 | 1.2 | 0.5 | 0.9 | 2.7 |
| 2019 | -0.3 | -0.7 | 1 | -0.2 | -0.9 | 0.5 | 0 | -0.9 | -0.8 | 0.4 | 0 | 0.2 | -1.6 |
| 2020 | 0.2 | -4.5 | -7.7 | -3.4 | 2.7 | 1.6 | -0.8 | -0.2 | 0.2 | -1 | -0.6 | 0.4 | -12.6 |
| 2021 | 0.9 | 2.5 | -0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
